Strategy Zoo / S1032
PriceMomentum_V1032
ARCHIVEDhybridllmSimplified and regularized entry logic (price+trend OR 20d momentum) + avoid overbought (RSI) and high-percentile volatility; tightened yearly drawdown filter. Added multi-condition exit (short-term loss, negative MACD histogram, or large drawdown) to cap downside. Introduced regime gates to trade only in UPTREND / non-bubbly / low-to-medium volatility. Reduced base position to 0.7 to lower risk and improve robustness.
Fitness
0.0955
Generation
47
Complexity
16
Created
2026-10-02
Lineage
Parents (1)
logic of PriceMomentum_V0624 with risk overlay of LongTermTrend_V0521
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1032 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.07) and rsi_14 < 75.0 and vol_pctile < 0.8 and cumret_252d > -0.4):
position = 0.7
if long and (ret_5d < -0.03 or macd_hist < 0.0 or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.9% | 5.6% | 0.8% | -1.4% |
| Total Return | -33.3% | 17.9% | 3.0% | -19.0% |
| Sharpe | -0.45 | 0.43 | 0.13 | -0.07 |
| Sortino | -0.26 | 0.35 | 0.08 | -0.04 |
| Calmar | -0.13 | 0.39 | 0.06 | -0.04 |
| Volatility | 10.1% | 15.3% | 10.8% | 11.5% |
| Max DD | -36.7% | -14.5% | -13.4% | -39.9% |
| Win Rate | 37.7% | 40.7% | 45.5% | 40.2% |
| Avg Win | 1.5% | 3.7% | 2.2% | 2.1% |
| Avg Loss | -1.3% | -1.9% | -1.7% | -1.5% |
| Payoff | 1.15 | 2.02 | 1.30 | 1.43 |
| Expectancy | -0.2% | 0.4% | 0.1% | -0.0% |
| Profit Factor | 0.70 | 1.39 | 1.08 | 0.96 |
| Trades | 151 | 54 | 66 | 271 |
| Avg Holding Days | 2.6 | 2.5 | 2.3 | 2.5 |
| Turnover | 26.5 | 25.2 | 24.8 | 25.8 |
| Exposure | 8.4% | 7.5% | 6.4% | 7.7% |
Growth of $100
PriceMomentum_V1032 vs TSLA Buy & Hold
PriceMomentum_V1032 TSLA Buy & HoldIn-sampleValidationHidden test
Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| 2016 | -3.8% | -0.67 | -8.5% | 17 |
| 2017 | 9.8% | 1.31 | -3.1% | 17 |
| 2018 | -11.1% | -1.40 | -11.0% | 8 |
| 2019 | -1.9% | -0.26 | -7.0% | 8 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 17.0% | 0.79 | -14.5% | 41 |
| 2022 | -7.9% | -0.87 | -10.3% | 12 |
A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.
Regime Performance
| Period | Regime | Days | Ann. Return | Sharpe | Exposure |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 276 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 29.5% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -0.2% | -1.73 | 0% |
| hidden test | LOW VOLATILITY | 436 | 1.7% | 0.14 | 9% |
| hidden test | MEDIUM VOLATILITY | 250 | 2.4% | 0.18 | 8% |
| hidden test | NORMAL | 809 | -1.4% | -0.13 | 7% |
| hidden test | SIDEWAYS | 293 | -3.6% | -1.40 | 1% |
| hidden test | UPTREND | 371 | 6.3% | 0.37 | 15% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 7.3% | 1.57 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.6% | 0.19 | 1% |
| train | LOW VOLATILITY | 745 | -7.2% | -0.69 | 15% |
| train | MEDIUM VOLATILITY | 568 | -8.8% | -0.79 | 9% |
| train | NORMAL | 1,601 | -7.1% | -0.64 | 10% |
| train | SIDEWAYS | 592 | -4.9% | -0.89 | 1% |
| train | UPTREND | 902 | -6.9% | -0.48 | 18% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 24.8% | 1.50 | 1% |
| validation | LOW VOLATILITY | 183 | 2.6% | 0.31 | 14% |
| validation | MEDIUM VOLATILITY | 315 | -6.0% | -0.35 | 9% |
| validation | NORMAL | 474 | 10.5% | 0.55 | 12% |
| validation | SIDEWAYS | 206 | -6.2% | -1.19 | 0% |
| validation | UPTREND | 425 | 14.7% | 0.74 | 13% |
Trades (full period)
latest 100 of 271
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.64% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.14% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.28% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -1.97% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.18% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 2.31% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -2.78% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -1.54% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.34% | 2 | |
| 2026-01-07 | 2026-01-08 | $431.41 | $435.80 | -0.39% | 2 | |
| 2026-01-05 | 2026-01-06 | $451.67 | $432.96 | 2.03% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.86% | 2 | |
| 2025-11-28 | 2025-12-30 | $430.17 | $454.43 | 5.35% | 22 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.13% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -0.87% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.34% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.65% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -4.79% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.01% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.79% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.39% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.63% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.49% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.62% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.90% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.71% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.20% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -6.28% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.13% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.73% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.49% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.62% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.31% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.21% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 3.29% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 6.99% | 2 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -2.15% | 2 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -1.74% | 2 | |
| 2024-01-05 | 2024-01-08 | $237.49 | $240.45 | -0.27% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.95% | 2 | |
| 2023-08-31 | 2023-09-01 | $258.08 | $245.01 | 0.18% | 2 | |
| 2023-08-29 | 2023-08-30 | $257.18 | $256.90 | 5.24% | 2 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 2.46% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 0.96% | 2 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 4.99% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -2.12% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -2.12% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -0.91% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -2.24% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -0.80% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.29% | 2 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -1.80% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.39% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.64% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 2.10% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.38% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.09% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.67% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.53% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.02% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.55% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -4.38% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.25% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.03% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.40% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.76% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.78% | 2 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 3.20% | 2 | |
| 2022-04-25 | 2022-04-26 | $332.67 | $292.14 | -0.63% | 2 | |
| 2022-04-21 | 2022-04-22 | $336.26 | $335.02 | 2.12% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.52% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.70% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.65% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.24% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -6.27% | 3 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2022-01-03 | 2022-01-04 | $399.93 | $383.20 | 9.33% | 2 | |
| 2021-12-27 | 2021-12-31 | $364.65 | $352.26 | 0.09% | 5 | |
| 2021-12-22 | 2021-12-23 | $336.29 | $355.67 | 5.10% | 2 | |
| 2021-12-20 | 2021-12-21 | $299.98 | $312.84 | -2.59% | 2 | |
| 2021-12-16 | 2021-12-17 | $308.97 | $310.86 | -3.66% | 2 | |
| 2021-12-14 | 2021-12-15 | $319.50 | $325.33 | -0.71% | 2 | |
| 2021-12-10 | 2021-12-13 | $339.01 | $322.14 | 0.78% | 2 | |
| 2021-12-08 | 2021-12-09 | $356.32 | $334.60 | 1.00% | 2 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.55% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -0.80% | 2 | |
| 2021-11-30 | 2021-12-01 | $381.59 | $365.00 | 0.34% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.28% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.03% | 2 | |
| 2021-10-12 | 2021-11-09 | $268.57 | $341.17 | 31.12% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.86% | 2 | |
| 2021-10-04 | 2021-10-07 | $260.51 | $264.54 | 0.54% | 4 | |
| 2021-09-28 | 2021-10-01 | $259.19 | $258.41 | -1.54% | 4 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 1.79% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.05% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -2.84% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.03% | 2 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 |